CME Options History — December 2014

In December 2014, CME traded between $84.61 and $92.78. ATM implied volatility averaged 18.5%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 3.9% (HV 20d: 14.6%). Max pain ranged from $77.50 to $95.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.42.

Notable Days

2014-12-23: Highest Volume — 97,679 contracts
2014-12-11: Largest IV spike — 29.4% change
2014-12-11: Highest IV Rank — 58.4%
2014-12-15: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$89.07	$84.61	$92.78	$84.61	$88.65
Max Pain	$82.86	$77.50	$95.00	$80.00	$92.50
ATM IV	18.5%	16.1%	22.6%	16.6%	19.4%
Expected Move	5.8%	5.3%	6.4%	5.7%	6.4%
HV 20d	14.6%	9.5%	20.7%	9.7%	20.7%
HV 60d	18.8%	18.1%	19.3%	19.1%	19.1%
IV Rank	30.9%	14.7%	58.4%	17.7%	36.5%
IV Percentile	34.6%	7.5%	82.1%	9.5%	52.4%
Term Structure	0.1%	-2.5%	2.4%	-1.6%	1.1%
VWIV	21.4%	18.3%	25.3%	23.9%	21.9%
Skew 25d	3.6%	0.2%	8.3%	3.3%	4.0%
Skew 10d	7.1%	2.8%	17.8%	3.9%	5.1%
Call IV 25d	17.4%	13.0%	20.1%	17.0%	18.4%
Put IV 25d	21.1%	17.9%	25.7%	20.3%	22.4%
Bid-Ask Spread %	50.16	34.04	74.39	59.78	34.04
Gamma HHI	0.22	0.12	0.35	0.17	0.12
Net GEX	12.4M	4.8M	16.5M	12.7M	4.8M
Net DEX	-168.4M	-302.8M	-77.5M	-185.6M	-77.5M
Net VEX	-702.0K	-746.6K	-639.8K	-652.0K	-724.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.42	0.04	1.20	0.46	1.20
Total Volume	17,909.455	1,592	97,679	5,472	2,109
Total OI	72,604.773	60,949	86,971	81,318	62,929

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2014-12-01	$84.61	$80.00	16.6%	5.7%	9.7%	17.7%	23.9%	3.3%	-1.6%	12.7M	-185.6M	-652.0K	0.46	59.78	N/A	N/A	3,752	1,720	53,765	27,553
2014-12-02	$85.49	$77.50	18.2%	5.6%	9.5%	28.8%	22.0%	8.3%	-0.5%	14.5M	-216.4M	-639.8K	0.57	44.41	N/A	N/A	4,528	2,595	55,025	27,893
2014-12-03	$86.75	$77.50	17.6%	5.7%	10.6%	24.8%	20.5%	7.3%	-0.8%	15.4M	-253.5M	-683.5K	0.53	37.34	N/A	N/A	5,313	2,842	56,223	28,636
2014-12-04	$87.24	$77.50	17.1%	5.6%	10.6%	21.0%	20.3%	5.9%	0.4%	16.4M	-261.6M	-700.4K	0.46	64.32	N/A	N/A	2,363	1,090	56,787	29,262
2014-12-05	$88.59	$77.50	17.7%	5.5%	11.7%	25.0%	19.3%	5.2%	-1.1%	15.6M	-302.8M	-710.4K	0.07	59.85	N/A	N/A	63,825	4,788	57,161	29,810
2014-12-08	$88.97	$80.00	19.1%	5.7%	11.1%	34.8%	20.9%	2.3%	-1.1%	14.0M	-147.4M	-679.0K	0.16	62.61	N/A	N/A	24,050	3,821	39,244	30,425
2014-12-09	$88.58	$80.00	17.9%	6.1%	11.3%	26.7%	20.4%	1.3%	1.8%	14.7M	-150.1M	-692.7K	0.24	54.06	N/A	N/A	13,717	3,295	41,126	30,548
2014-12-10	$89.09	$80.00	17.5%	5.8%	11.4%	23.7%	22.8%	2.4%	0.0%	14.6M	-161.9M	-722.7K	0.25	50.34	N/A	N/A	13,203	3,363	41,561	30,931
2014-12-11	$88.36	$80.00	22.6%	5.9%	11.5%	58.4%	23.8%	0.2%	-2.5%	13.3M	-150.2M	-746.6K	0.24	74.39	N/A	N/A	12,892	3,096	42,631	31,287
2014-12-12	$87.09	$80.00	21.4%	6.1%	12.6%	50.6%	24.7%	1.7%	-0.4%	12.7M	-116.9M	-740.9K	0.28	73.23	N/A	N/A	12,078	3,343	42,955	31,386
2014-12-15	$88.07	$80.00	21.2%	6.4%	12.9%	49.1%	24.5%	4.5%	-1.0%	13.2M	-128.6M	-725.0K	0.25	52.81	N/A	N/A	11,631	2,943	42,667	31,321
2014-12-16	$87.23	$80.00	22.0%	6.4%	13.1%	54.5%	22.7%	5.0%	0.6%	13.2M	-117.9M	-719.0K	0.25	59.31	N/A	N/A	11,654	2,917	43,039	31,259
2014-12-17	$89.83	$80.00	19.2%	6.3%	16.1%	35.4%	25.3%	3.6%	-0.3%	16.5M	-178.0M	-695.6K	0.37	59.30	N/A	N/A	11,980	4,467	43,353	31,467
2014-12-18	$91.99	$80.00	16.9%	5.6%	17.5%	20.0%	20.5%	3.4%	1.0%	15.1M	-227.6M	-671.5K	0.47	36.98	N/A	N/A	9,721	4,584	42,736	31,902
2014-12-19	$92.36	$80.00	16.4%	5.5%	17.3%	16.8%	19.6%	3.2%	0.9%	13.2M	-230.3M	-709.0K	0.14	38.70	N/A	N/A	4,366	626	43,576	32,730
2014-12-22	$92.78	$0.00	16.3%	5.3%	16.9%	15.5%	19.0%	3.0%	0.5%	13.9M	-191.3M	-661.3K	1.07	43.24	N/A	N/A	5,141	5,515	38,792	25,675
2014-12-23	$92.77	$85.00	16.1%	5.4%	17.0%	14.7%	18.3%	0.9%	0.8%	13.4M	-187.9M	-664.9K	0.04	44.09	N/A	N/A	94,173	3,506	38,761	26,630
2014-12-24	$90.58	$95.00	18.2%	5.8%	19.9%	28.5%	19.3%	3.7%	0.7%	6.6M	-112.3M	-723.4K	0.42	34.76	N/A	N/A	8,970	3,726	33,666	27,283
2014-12-26	$90.43	$92.50	18.7%	5.7%	20.0%	32.0%	19.1%	2.9%	0.3%	6.2M	-109.3M	-737.9K	0.39	39.95	N/A	N/A	7,405	2,922	34,066	27,692
2014-12-29	$90.18	$92.50	18.9%	5.8%	19.9%	33.1%	20.5%	4.1%	1.5%	6.1M	-102.0M	-720.5K	0.49	44.55	N/A	N/A	5,631	2,755	34,129	27,421
2014-12-30	$89.85	$92.50	18.7%	5.9%	20.1%	32.1%	21.8%	4.1%	2.4%	6.0M	-95.3M	-724.3K	0.79	35.35	N/A	N/A	889	703	34,206	27,796
2014-12-31	$88.65	$92.50	19.4%	6.4%	20.7%	36.5%	21.9%	4.0%	1.1%	4.8M	-77.5M	-724.4K	1.20	34.04	N/A	N/A	957	1,152	34,634	28,295